chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using System.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm to validate <see cref="SecurityCache.Session"/> with Futures.
+    /// Ensures OHLCV are consistent with Tick data.
+    /// </summary>
+    public class SecuritySessionWithFuturesRegressionAlgorithm : SecuritySessionRegressionAlgorithm
+    {
+        private decimal _bidPrice;
+        private decimal _askPrice;
+        private decimal _bidHigh;
+        private decimal _bidLow;
+        private decimal _askLow;
+        private decimal _askHigh;
+        private decimal _previousOpenInterest;
+
+        public override void InitializeSecurity()
+        {
+            SetStartDate(2013, 10, 07);
+            SetEndDate(2013, 10, 08);
+
+            Security = AddFuture(Futures.Metals.Gold, Resolution.Tick, extendedMarketHours: ExtendedMarketHours);
+            _bidLow = decimal.MaxValue;
+            _askLow = decimal.MaxValue;
+        }
+
+        protected override bool IsWithinMarketHours(DateTime currentDateTime)
+        {
+            return Security.Exchange.Hours.IsOpen(currentDateTime, false);
+        }
+
+        protected override void AccumulateSessionData(Slice slice)
+        {
+            var symbol = Security.Symbol;
+            foreach (var tick in slice.Ticks[symbol])
+            {
+                if (tick.TickType == TickType.Trade)
+                {
+                    Volume += tick.Quantity;
+                }
+                if (CurrentDate.Date == tick.Time.Date)
+                {
+                    if (tick.BidPrice != 0)
+                    {
+                        _bidPrice = tick.BidPrice;
+                        _bidLow = Math.Min(_bidLow, tick.BidPrice);
+                        _bidHigh = Math.Max(_bidHigh, tick.BidPrice);
+                    }
+                    if (tick.AskPrice != 0)
+                    {
+                        _askPrice = tick.AskPrice;
+                        _askLow = Math.Min(_askLow, tick.AskPrice);
+                        _askHigh = Math.Max(_askHigh, tick.AskPrice);
+                    }
+                    if (_bidPrice != 0 && _askPrice != 0)
+                    {
+                        var midPrice = (_bidPrice + _askPrice) / 2;
+                        if (Open == 0)
+                        {
+                            Open = midPrice;
+                        }
+                        Close = midPrice;
+                    }
+                    if (_bidHigh != 0 && _askHigh != 0)
+                    {
+                        High = Math.Max(High, (_bidHigh + _askHigh) / 2);
+                    }
+                    if (_bidLow != decimal.MaxValue && _askLow != decimal.MaxValue)
+                    {
+                        Low = Math.Min(Low, (_bidLow + _askLow) / 2);
+                    }
+                }
+                else
+                {
+                    // New trading day
+                    if (PreviousSessionBar != null)
+                    {
+                        var session = Security.Session;
+                        if (PreviousSessionBar.Open != session[1].Open
+                            || PreviousSessionBar.High != session[1].High
+                            || PreviousSessionBar.Low != session[1].Low
+                            || PreviousSessionBar.Close != session[1].Close
+                            || PreviousSessionBar.Volume != session[1].Volume
+                            || _previousOpenInterest != session[1].OpenInterest)
+                        {
+                            throw new RegressionTestException("Mismatch in previous session bar (OHLCV)");
+                        }
+                    }
+
+                    // This is the first data point of the new session
+                    Open = (_bidPrice + _askPrice) / 2;
+                    Low = decimal.MaxValue;
+                    _bidLow = decimal.MaxValue;
+                    _askLow = decimal.MaxValue;
+                    Volume = 0;
+                    CurrentDate = tick.Time.Date;
+                }
+            }
+        }
+
+        protected override void ValidateSessionBars()
+        {
+            // At this point the data was consolidated
+            var session = Security.Session;
+
+            // Save previous session bar
+            PreviousSessionBar = new TradeBar(CurrentDate, Security.Symbol, Open, High, Low, Close, Volume);
+            _previousOpenInterest = Security.OpenInterest;
+
+            // Check current session values
+            if (session.Open != Open
+                || session.High != High
+                || session.Low != Low
+                || session.Close != Close
+                || session.Volume != Volume
+                || session.OpenInterest != Security.OpenInterest)
+            {
+                throw new RegressionTestException("Mismatch in current session bar (OHLCV)");
+            }
+        }
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 180093;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "0"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100000"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}